| Library: | |
| See also: | FARcov FARx genarma |
| Macro: | FARgk | |
| Description: | Calculation of the gk for Simulation of fractional ARIMA(0,d,0) with FARx |
| Usage: | (gk)=FARgk(m,d) | |
| Input: | ||
| m length of the generated series in FARx, must be a power | of 2 due to the Fast Fourier Transform | |
| d self similarity parameter d=H-1/2 | ||
| Output: | ||
| gk vector of the calculated gk (length 2*n) | ||
gk=FARgk(2,.3)
Contents of gk [1,] 2.8764 [2,] 0.88505 [3,] 0.61953 [4,] 0.88505
| Library: | |
| See also: | FARcov FARx genarma |